Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory

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Date Issued

2012

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en
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Working Paper

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Peer Review

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Martins-Filho, Carlos; Yao, Feng; Torero, Máximo 2012. Nonparametric estimation of conditional value-at-risk and expected shortfall based on extreme value theory.

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https://hdl.handle.net/10568/153197

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Maximo Torero  https://orcid.org/0000-0002-4863-3371
 Carlos Martins-Filho  https://orcid.org/0000-0003-2678-2525
AGROVOC Keywords
models; strong mixing

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